Slaying the Natural Gas Contango Dragon
Yesterday’s post on Natural Gas, Contango and UNG appears to have generated a fair amount of interest across a broad base of readers, so for an encore I have decided to forego the typical collection of dazzling Liszt miniatures and skip directly to m...
Natural Gas, Contango and UNG
I have talked at length in this space about the contango and negative roll yield issues that plague VXX. Periodically these discussions trigger a question from a reader about the impact of contango on some of the other ETPs. Just to be clear, as far a...
A Monthly Comparison of VXX and VXZ
Three years after their launch, VXX has about four times as many assets as its mid-term sibling, VXZ. When it comes to public relations and media column inches, I imagine the ratio is more like 50-1 in the favor of VXX. In many ways VXZ is the unloved ...
VXX Celebrates Third Birthday
It does not seem too long ago that I was the only person who thought VXX was worth mentioning. Known formally as the iPath S&P 500 VIX Short-Term Futures ETN, VXX was launched three years ago today, alongside of its sibling, the iPath S&P 500 ...
The VIX-VXX Minotaur Trade
[The following first appeared in the December 2010 edition of Expiring Monthly: The Option Traders Journal. I thought I would share it partly because I have an article, “Synthetic Seasonal VIX-VXX Arb,” which appears in the just published January 2...
ZIV Undeservedly Neglected
Much to my amazement, next week will mark the third anniversary of the launch of the first two VIX ETPs: the S&P 500 VIX Short-Term Futures ETN (VXX) and the S&P 500 VIX Mid-Term Futures ETN (VXZ). Some may recall that investors were slow to w...
The curious case of ‘abnormal’ backwardation
John Kemp at Thomson Reuters is a big fan of commodity curves — backwardation, contango and all the principles that come with it.As he often notes, one of the key theories...
Collateral crunch, commodity financing edition
Look at any financial market long enough and it starts to resemble the repo market.Conventional sales and buybacks. Islamic finance. Covered bonds. Commodity contango or backwardation trades....
VIX Futures: A Tale of Two Backwardations
After yesterday’s New VIX Backwardation Record post, I thought it might be interesting to compare the VIX futures term structure during the past three months to that of the prior record, which spanned September to December 2008. The mechanics for gr...
New VIX Backwardation Record
This week marks the first time that the front two months of the VIX futures term structure have been in backwardation each day for more than three consecutive months. In fact, the current streak of 68 days eclipses the old record of 63 days that dates ...
“Something structural has changed in current fundamentals”
John Kemp at Reuters has penned a cracking column on the current peculiarities afflicting the crude markets.As Kemp notes, ask anyone in the market — specifically the physical market —...
